European Electricity and interrelated Futures Markets: A cointegrated Vector Autoregressive Analysis
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- Dempster, M.A.H. & Medova, Elena & Tang, Ke, 2008. "Long term spread option valuation and hedging," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2530-2540, December.
- MacKinnon, James G, 1996.
"Numerical Distribution Functions for Unit Root and Cointegration Tests,"
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- James G. MacKinnon, 1995. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Working Papers 918, Queen's University, Department of Economics.
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- Stefan Thoenes, 2014. "Understanding the Determinants of Electricity Prices and the Impact of the German Nuclear Moratorium in 2011," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
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KeywordsEnergy; Cointegration; Electricity Market; Futures Market;
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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